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Glossary

SOFR

The Secured Overnight Financing Rate (SOFR) is a near-risk free rate measuring the cost of borrowing cash overnight collateralized by Treasury securities.

While most LIBOR submissions are still based on expert judgment, the SOFR is fully transacted-based, with Bank of New York Mellon (BNYM) and the Depository Trust and Clearing Corporation (DTCC) providing transaction-level data for three repo market segments: General Tri-Party, Inter-dealer Tri-Party and FICC-Cleared Bilateral. This reference rate encompasses a robust underlying market, is nearly risk-free and correlates closely with other money market rates, but less volative than banks rates (e.g. LIBOR).

Each business day, the Federal Reserve Bank of New York calculates and publishes the SOFR at approximately 8:00-8:30 a.m.

SOFR rates are published one business day delay in Indices section, Index type: Interest rates Indicators: SOFR.

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